ISDA Market Survey Summaries, 2010-1995
2010 MID-YEAR MARKET SURVEY
The total combined notional amount outstanding of interest rate, credit, and equity derivatives at June 30, 2010 was $466.8 trillion, an increase of less than 1 percent from the end of 2009. Of the total notional amount, the fourteen largest global derivatives dealers, known as the G14 group, reported $354.6 trillion or 82 percent. And the five largest US-based dealers reported a notional amount outstanding of $172.3 trillion, or 37 percent of the total. A total of seventy-one ISDA Primary Member firms participated in the Mid-Year 2010 Survey.
The notional amount of interest rate derivatives outstanding was $434.1 trillion at mid-year 2010, an increase of 1.7 percent compared with $426.8 trillion at the end of 2009. For the year as a whole, interest rate derivatives notionals rose 4.8 percent from $414.1 trillion mid-year 2009. Seventy firms provided interest rate derivatives data to the Mid-Year 2010 Survey. Interest rate derivatives are 93.0 percent of the total of all derivatives reported to the ISDA Market Survey.
The notional amount outstanding of credit default swaps (CDS) was $26.3 trillion at mid-year 2010, a decrease of 13.7 percent from $30.4 trillion at year-end 2009. CDS notional outstanding for the past twelve months was down 15.9 percent from $38.6 trillion at mid-year 2009. As in past surveys, the $26.3 trillion notional amount was approximately evenly divided between bought and sold protection: bought protection notional amount was approximately $13.3 trillion and sold protection was about $13.0 trillion, with a net bought notional amount of $359.0 billion. Sixty-two firms provided data on credit default swaps. Credit default swaps are 5.6 percent of the total of all derivatives reported to the ISDA Market Survey.
Notional amounts of equity derivatives fell 5.7 percent to $6.4 trillion from $6.8 trillion at year-end 2009. The notional amount of equity derivatives was down 27.3 percent for the full twelve months from mid-year 2009. Sixty-one firms provided data on equity derivatives.Restricting the sample to firms that responded to both the year-end 2009 and mid-year 2009 surveys, equity derivative notional amounts fell by 22 percent. Equity derivatives are 1.4 percent of the total of all derivatives reported to the ISDA Market Survey.
2009 YEAR-END MARKET SURVEY
Notional amount of interest rate derivatives outstanding was $426.8 trillion at year-end 2009, an increase of 3 percent compared to $414.1 trillion at mid-year 2009. For the year as a whole, interest rate derivatives notionals rose 6 percent from $403.1 trillion in 2008. Eighty-one firms responded to the Year-End 2009 Survey, compared with eighty-six at mid-year 2009. Restricting the sample to firms responding to both surveys, interest rate swap notionals increased by 4.0 percent.
The notional amount outstanding of credit default swaps (CDS) was $30.4 trillion at year-end 2009, down 3 percent from $31.2 trillion at mid-year 2009. CDS notional outstanding for the whole of 2009 was down 21 percent from $38.6 trillion at year-end 2008. The $30.4 trillion notional amount was approximately evenly divided between bought and sold protection: bought protection notional amount was approximately $15.4 trillion and sold protection was about $15.0 trillion, with a net bought notional amount of $451.3 billion. Seventy-five firms provided data on credit default swaps.
Notional amounts of equity derivatives fell 23 percent to $6.8 trillion at year-end 2009. At mid-year 2009, equity derivatives notionals were $8.8 trillion. Equity derivatives notional amount for the year was down 23 percent from $8.7 trillion at year-end 2008. Seventy firms provided data on equity derivatives. Restricting the sample to firms that responded to both the year-end 2009 and mid-year 2009 surveys, equity derivative notional amounts fell by 22 percent.
2009 MID-YEAR MARKET SURVEY
Notional amount outstanding of interest rate derivatives grew by 2.7 percent to $414.09 trillion at the end of June 2009 from $403.07 trillion at the end of December 2008. Over the preceding twelve months, interest rate derivatives decreased by 11 percent. Some of the growth over the past six months is the result of increases in number of firms responding to the ISDA Market Survey: Eighty-six firms responded to the Mid-Year 2009 Survey, compared with seventy at the end of 2008. Restricting the sample to firms responding to both surveys, interest rate swap notionals fell by 2.0 percent.
Notional amount outstanding of credit default swaps decreased by 19 percent in the first six months of the year to $31.22 trillion from $38.56 trillion. Over the preceding twelve months, CDS notional amounts decreased by 43 percent from mid-year 2008. The decrease in notional amounts reflects continuing efforts at portfolio compression at major dealers; among major dealers, CDS notional amounts declined by 21.2 percent. The $31.22 trillion notional amount was approximately evenly divided between bought and sold protection: bought protection notional amount was $15.79 trillion and sold protection was $15.40 trillion, with a net bought notional amount of $0.39 trillion (that is, $393.74 billion). Seventy-eight firms provided data on credit default swaps.
Notional amount outstanding of equity derivatives remained relatively flat at $8.82 trillion. This compares with a 27 percent decrease from $11.8 trillion during the second half of 2008. The annual growth rate for equity derivatives to mid-2009 decreased by 26 percent to $8.8 trillion from $11.8 trillion at mid-year 2008. As with interest rate derivatives, the increase in the number of responding firms—seventy-six firms provided equity derivatives data to this survey compared with sixty-three at year-end 2008—had some effect on the results: Restricting the sample to firms that responded to both the mid-year 2009 and the year-end 2008 surveys, equity derivative notional amounts fell by 7.0 percent.
2008 YEAR-END MARKET SURVEY
The notional amount outstanding of credit default swaps (CDS) was $38.6 trillion at year-end, down 29 percent from $54.6 trillion at mid-year 2008. CDS notional outstanding for the whole of 2008 was down 38 percent from $62.2 trillion at year-end 2007. The $38.6 trillion notional amount was approximately evenly divided between bought and sold protection: bought protection notional amount was $19.5 trillion and sold protection was $19.1 trillion, with a net bought notional amount of $400 billion.
Notional amount of interest rate derivatives outstanding was $403.1 trillion at year-end, a decline of 13 percent compared to $464.7 trillion at mid-year 2008. For the year as a whole, interest rate derivatives notionals rose 5 percent over 2007.
Notional amounts of equity derivatives fell to $8.7 trillion at year-end 2008. At mid-year 2008, equity derivatives notionals were $11.9 trillion. Equity derivatives notional amount for the year was down 13 percent.
2008 MID-YEAR MARKET SURVEY
Notional amounts of interest rate derivatives outstanding grew 22 percent to $464.7 trillion in the first half of 2008. For the year as a whole, interest rate derivatives notionals rose 34 percent.
The notional amount outstanding of credit default swaps (CDS) dropped 12 percent to $54.6 trillion in the first half of 2008. CDS notional growth was 20 percent for the year as a whole.
Notional amounts of equity derivatives grew 19 percent to $11.9 trillion in the first half of 2008. The annual growth rate was 19 percent.
In this survey, 78 firms provided data on interest rate swaps, 69 provided responses on credit derivatives, and 68 provided responses on equity derivatives. All major dealers responded.
2007 YEAR-END MARKET SURVEY
Notional amounts of interest rate derivatives outstanding grew almost 10 percent to $382.3 trillion in the second half of 2007. For the year as a whole, interest rate derivatives notionals rose 34 percent.
The notional amount outstanding of credit default swaps (CDS) grew 37 percent to $62.2 in the second half of 2007. CDS notional growth was 81 percent for all of 2007.
Notional amounts of equity derivatives remained flat at approximately $10 trillion during the second half of 2007. The annual growth rate for all of 2007 was 39 percent.
In this survey, 91 firms provided data on interest rate swaps, 81 provided responses on credit derivatives, and 83 provided responses on equity derivatives. All major dealers responded.
2007 MID-YEAR MARKET SURVEY
Notional amount outstanding of interest rate derivatives grew by 21 percent to $347.09 trillion from $285.73 trillion. This compares with 14 percent growth during the second half of 2006. The annual growth rate for interest rate derivatives to mid-2007 is 38 percent from $250.83 trillion in mid-2006. In this survey, 88 firms provided data. All major dealers responded.
Notional amount outstanding of credit derivatives grew by 32% in the first six months of the year to $45.46 trillion from $34.42 trillion. The annual growth rate for credit derivatives is 75% from $26.0 trillion at mid-year 2006.
Notional amount outstanding of equity derivatives, which consist of equity swaps, options, and forwards, grew by 39 percent from $7.18 trillion to $10.01 trillion. This compares with 13 percent growth during the second half of 2006. The annual growth rate for equity derivatives to mid-2007 is 57 percent from $6.38 trillion at mid-year 2006.
2006 YEAR-END MARKET SURVEY
Notional amounts of interest rate derivatives outstanding grew almost 14 percent to $285.7 trillion in the second half of 2006. For the full year, interest rate derivatives notional amounts rose 34 percent over 2005, which is above the annual growth rate of recent years.
The notional amount outstanding of credit default swaps (CDS) grew 32 percent in the second half of 2006, rising from $26.0 trillion at June 30, 2006 to $34.4 trillion at December 31, 2006. This compares with 52 percent growth during the first half of 2006. CDS notional growth for the whole of 2006 was 101 percent, compared with 103 percent during 2005. The survey monitors credit default swaps on single-names, baskets and portfolios of credits and index trades.
Notional equity derivatives amounts outstanding grew 12 percent from $6.4 trillion to $7.2 trillion in the 2006 second half. Annual growth was 29 percent, compared with 34 percent during 2005.
The above notional amounts, which total $327.3 trillion across asset classes, are an approximate measure of derivatives activity, and reflect both new transactions and those from previous periods. The amounts do not, however, represent the risks associated with the activity; in order to determine risk, it is necessary to estimate net replacement cost, which ISDA does not collect.
The Bank for International Settlements (BIS) collects both notional amounts and market values in its derivatives statistics and it is possible to use the BIS statistics to approximate the amount at risk in the ISDA survey results. As of December 2006, gross mark-to-market value reported to BIS was approximately 2.3 percent of notional amount outstanding. In addition, net credit exposure (after netting but before collateral) was reported as 0.49 percent of notional amount outstanding.
Applying these percentages to the total ISDA Market Survey notional amount outstanding of $327.4 trillion as of December 31, 2006, gross credit exposure before netting is estimated to be $7.6 trillion and credit exposure after netting is estimated to be $1.6 trillion.
2006 MID-YEAR MARKET SURVEY
Notional amount outstanding of interest rate swaps and options and cross-currency swaps grew by 18 percent to $250.8 trillion from $213.2 trillion. The annual growth rate for interest rate derivatives to mid-2006 is 25 percent from $201.4 trillion in mid-2005. 101 primary member firms provided interest rate derivatives data.
Notional amount of credit default swaps grew by 52% in the first six months of the year to $26.0 trillion from $17.1 trillion. The annual growth rate for credit derivatives is 109% from $12.4 trillion at mid-year 2005. 88 firms provided credit default swap data.
Finally, notional amount outstanding of equity derivatives, which consist of equity swaps, options, and forwards, grew by 15 percent from $5.5 trillion to $6.4 trillion. This represents year-on-year growth of 32 percent from $4.8 trillion at mid-year 2005. 87 firms provided equity derivatives data.
2005 YEAR-END MARKET SURVEY
The notional principal amount outstanding of interest rate derivatives, which include interest rate swaps and options and cross-currency interest rate swaps, grew almost 6 percent to $213.2 trillion. This is a 16 percent increase from one year ago, and is in line with gradually decreasing growth rates for interest rate derivatives. A total of 98 ISDA Primary Member firms provided interest rate derivative data.
Credit default swaps grew 38 percent from $12.4 trillion to $17.1 trillion, compared with 48 percent growth during the first half of 2005. Growth during all of 2005 was 105 percent, compared with 123 percent during 2004. In all, 86 firms provided CDS data.
Finally, notional amount outstanding of equity derivatives, consisting of equity swaps, options, and forwards, grew 15 percent from $4.8 trillion to $5.6 trillion. Annual growth was almost 34 percent, compared with 28 percent during 2004; 83 firms provided equity derivatives data.
2005 MID-YEAR MARKET SURVEY
The notional amount outstanding volume of interest rate swaps and options and cross-currency swaps grew by almost 10 percent to $201.4 trillion from $183.6 trillion during the first six months of 2005. The annual growth rate for interest rate derivatives to mid-2005 is 22 percent from $164.49 trillion in mid-2004. A total of 101 primary member firms provided interest rate derivative data for this Survey.
Notional amount of credit default swaps grew by almost 48% during the first six months of the year to $12.43 trillion from $8.42 trillion. This represents a year-on-year growth rate of 128% from $5.44 trillion at mid-year 2004; 86 firms provided credit default swap data.
Finally, notional amount outstanding of equity swaps, forwards, and OTC options grew by over 16 percent from $4.15 trillion to $4.83 trillion, an increase over the 10 percent growth in the second half of 2004. This represents year-on-year growth of 28 percent from $3.79 trillion at mid-year 2004; 81 firms provided equity derivatives data.
2004 YEAR-END MARKET SURVEY
The notional amount outstanding of interest rate swaps and options and cross-currency swaps grew by 12 per cent from $164.49 trillion to $183.6 trillion during the second half of 2004. The annual growth rate of interest rate derivatives was 29 per cent for 2004.
The notional amount outstanding of credit default swaps grew by almost 55 per cent in the second half of 2004 from $5.44 trillion to $8.42 trillion. This represents an annual growth rate of 123%.